Statistical properties and economic implications of jump-diffusion processes with shot-noise effects

DOI10.1016/j.ejor.2011.05.011zbMath1219.91155MaRDI QIDQ635177

Juan-Miguel Gracia

Publication date: 19 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.05.011

zbMATH Keywords

characteristic function; generalized method of moments; finance; shot-noise

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B82: Statistical methods; economic indices and measures

60K10: Applications of renewal theory (reliability, demand theory, etc.)